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WTI Options Liquidity During European Morning Hours

Highlights:

  • Over 80% of WTI Options (LO) volume electronically traded for 13 consecutive months
  • WTI Options volume during non-U.S. hours climbs to a record ADV of 19,079 during Q2 2018.
  • 43% of total WTI Options (LO) electronic volume is a result of on-screen spread trading via RFQ

New Expiration Rules for Options

Highlights:

The new options expirations rules include the elimination of contrary exercise instructions for all physically-settled Crude Oil, Natural Gas, Refined Products, and Metals options contracts that expire after January 1, 2018.  Brent (BZO), Coal, Power, and Emissions options are excluded.

In addition, for exact at-the-money settlements, the auto-exercise rule has changed. If the underlying settlement price falls exactly on a strike price at expiration, the at-the-money calls will be exercised and the at-the-money puts will be abandoned.

For More Information:

Clearing CME Globex Floor CME ClearPort Product Name Subgroup Exchange Volume Open Interest
LO LO - LO Crude Oil Options Crude Oil NYMEX 106,826 2,537,343
LN LNE - LN Natural Gas Options (European) Natural Gas NYMEX 62,575 1,898,731
ON ON - ON Natural Gas Options (American) Natural Gas NYMEX 9,842 133,764
BE BE - BE Brent Last Day Financial (European) Options Crude Oil NYMEX 8,898 103,059
BZO BZO - BZO Brent Crude Oil Futures-Style Margin Option Crude Oil NYMEX 3,389 220,899
LO3 LO3 - LO3 Crude Oil Weekly Options Wk 3 Crude Oil NYMEX 2,517 0
WA WAY - WA WTI Crude Oil 1 Month Calendar Spread Options Crude Oil NYMEX 2,250 438,100
OH OH - OH NY Harbor ULSD Option Refined Products NYMEX 1,824 49,642
BV ABV - BV WTI-Brent Crude Oil Spread Options Crude Oil NYMEX 1,500 203,566
LO4 LO4 - LO4 Crude Oil Weekly Options Wk 4 Crude Oil NYMEX 1,063 2,955
Trade Date: 17 Aug 2018 | PRELIMINARY

Note: Volume and Open Interest data is from the previous trade date. Preliminary data updates at approximately 9:00 p.m. CT and the final update is at 10:00 a.m. CT next business day.

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